Stock Index Futures Hedging Strategy

In the past fifty years, as the multinational and national financial markets and theoretical research continue to develop, the optimal hedging ratios have been developed in many models, the hedging performances of which are better performable.The research process of optimal hedge ratio models are in the following two branches:(1) OLS models can directly get the optimal hedge ratio through estimating model parameters. It mainly contains the traditional OLS model, such as B-VAR model, OLS-CI model, ECM model and SO on.(2)The complex multi—GARCH models which can estimate the conditional correlation coefficients or the variance—covariance matrix, and derive the optimal hedge ratio through calculating, are developed from uni-variate GARCH model, such as VECH model, BEKK model, CCC model, DCC model and so on.The result suggests the hedging ratios of VECM-BEKK with the co-integration relationship are higher than other models.